Modified Scheffé’s Prediction Bands

Anna Staszewska-Bystrova

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2013, vol. 233, issue 5-6, 680-690

Abstract: The formula for the Scheffé prediction bands proposed by Jordà and Marcellino (2010) is reconsidered. It is demonstrated, that in many cases of practical interest, the bands fail to satisfactorily approximate the uncertainty associated with a path-forecast. A modification of the Scheffé method is proposed which improves the coverage properties of the bands.

Keywords: Prediction band; Scheffé’s band; path-forecast; vector autoregression; Prediction band; Scheffé’s band; path-forecast; vector autoregression (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:233:y:2013:i:5-6:p:680-690

DOI: 10.1515/jbnst-2013-5-608

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